Event Archive

Portfolio optimization under convex incentive schemes: Duality theory and stochastic volatility by Dr. Stephan Sturm
  1. October 17, 2011 - 3:30pm to 5:00pm
Weak uniqueness for a class of degenerate diffusions with continuous covariance by Dr. Gerard Brunick
  1. October 10, 2011 - 3:30pm to 5:00pm
Parameter Estimation for Fractional SDEs by Dr. Alexandra Chronopoulou
  1. September 28, 2011 - 3:30pm to 5:00pm
An agent-based model for bank formation, bank runs and interbank networks by Prof Matheus Grasselli
  1. June 2, 2011 - 9:30pm to 10:45pm
Optimal pricing strategies and Stackelberg equilibria in time-delayed stochastic differential games by Prof. Bernt Oksendal
  1. June 1, 2011 - 3:30pm
Mapping systemic risk in the international banking network by Prof. Rodney Garratt
  1. May 23, 2011 - 3:30pm to 5:00pm
Functional Ito's Calculus a la Dupire by Yuri Saporito
  1. May 9, 2011 - 3:30pm to 5:00pm
Particle systems, Kalman interacting filter, definitions and proof of convergence by Sylvain Rubenthaler
  1. April 11, 2011 - 3:30pm to 5:00pm
Time changed Fast Mean-Reverting Stochastic Volatility Models by Matt Lorig
  1. February 14, 2011 - 3:30pm to 5:00pm
A Convex-Regularization Framework for Local-Volatility Calibration in Derivative Markets by Jorge Zubelli
  1. January 31, 2011 - 3:30pm to 5:00pm
Optimising Proportional Reinsurance Using a Worst Case Scenario Approach by Dr. Olaf Menkens
  1. November 22, 2010 - 3:30pm to 5:00pm
The ergodic theory of nonlinear filters by Dr. Ramon van Handel
  1. November 15, 2010 - 3:30pm to 5:00pm
On quasiconvex dynamic risk measures by Prof. Marco Frittelli
  1. October 25, 2010 - 3:30pm to 5:00pm
Modeling a systemic risk of frozen inter-bank lending by Prof. Tomoyuki Ichiba
  1. October 11, 2010 - 3:30pm to 5:00pm
Systemic Risk Components and Deposit Insurance Premia by Dr. Jeremy Staum
  1. September 27, 2010 - 3:30pm to 5:00pm
TEMPORAL CORRELATION OF DEFAULTS IN SUBPRIME SECURITIZATION by Eric Hillebrand
  1. June 2, 2010 - 3:15pm
Horizon dependence of utility optimizers in incomplete models by Kasper Larsen
  1. May 17, 2010 - 3:15pm
Numeraire-invariant choices in financial modeling by Kostas Kardaras
  1. April 26, 2010 - 3:15pm
Wellposedness of Second Order Backward SDEs by Dr. Nizar Touzi
  1. March 3, 2010 - 3:15pm
Optimal Stopping for Dynamic Convex Risk Measures by Erhan Bayraktar
  1. February 22, 2010 - 3:15pm